Consider the ending of the short story as a statement of how dreams die with a corroded center. It is for this reason that Dexter reacts so intensely. He does not react because of the news he hears about Judy as much as he recognizes that there is a loss of his dream. The ending helps to bring this into full view:

The gates were closed, the sun was gone down, and there was no beauty but the gray beauty of steel that withstands all time.

When Dexter weeps about "that thing is gone," it is a stunning revelation that his dreams were built upon a firmament of sand and the tide has washed onto the short. The idea of hollowness and the intensity of pain in realizing that which he coveted for so long was empty and devoid of real, substantive meaning are all realities that hit him with the news of what has become of Judy. From that point, his apotheosis of Judy and the elevation of his own dreams had become crushed and replaced with a painful nothingness of the modern condition, something that becomes too difficult for Dexter to bear. In this, his "winter dreams" have become forever lost.